We develop a variational Monte Carlo (VMC) method for electron-phonon coupled systems. The VMC method has been extensively used for investigating strongly correlated electrons over the last decades. However, its applications to electron-phonon coupled systems have been severely restricted because of its large Hilbert space. Here, we propose a variational wave function with a large number of variational parameters which is suitable and tractable for systems with electron-phonon coupling. In the proposed wave function, we implement an unexplored electron-phonon correlation factor which takes into account the effect of the entanglement between electrons and phonons. The method is applied to systems with diagonal electron-phonon interactions, i.e. interactions between charge densities and lattice displacements (phonons). As benchmarks, we compare VMC results with previous results obtained by the exact diagonalization, the Green function Monte Carlo and the density matrix renormalization group for the Holstein and Holstein-Hubbard model. From these benchmarks, we show that the present method offers an efficient way to treat strongly coupled electron-phonon systems.